Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0272
Annualized Std Dev 0.1753
Annualized Sharpe (Rf=0%) -0.1552

Row

Daily Return Statistics

Close
Observations 3575.0000
NAs 1.0000
Minimum -0.0861
Quartile 1 -0.0053
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0056
Maximum 0.0797
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0110
Skewness -0.1341
Kurtosis 6.4957

Downside Risk

Close
Semi Deviation 0.0079
Gain Deviation 0.0079
Loss Deviation 0.0081
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0079
Downside Deviation (0%) 0.0079
Maximum Drawdown 0.6938
Historical VaR (95%) -0.0162
Historical ES (95%) -0.0262
Modified VaR (95%) -0.0172
Modified ES (95%) -0.0285
From Trough To Depth Length To Trough Recovery
2008-02-27 2020-06-26 NA -0.6938 3290 3106 NA
2007-02-23 2007-05-10 2007-06-15 -0.1011 79 54 25
2007-06-19 2007-08-16 2007-09-20 -0.0906 66 42 24
2008-01-18 2008-01-23 2008-02-04 -0.0856 11 3 8
2007-09-28 2007-10-08 2007-11-06 -0.0725 28 7 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -0.4 -1.3 -3.4 1.6 0.2 0.3 -1.1 -0.9 -0.5 -0.9 -0.5 0 -6.8
2008 0.7 -1.7 0.7 -1.8 -0.1 1.5 -1.6 -0.5 -0.7 -1 -3.7 2.9 -5.3
2009 -0.7 -1 -0.9 3.2 3.5 1.1 1.5 -2 -1.7 -1.9 0.5 0.4 1.8
2010 -0.2 -1.2 0.8 0.8 -0.2 0.8 1.8 1.2 -3 -0.8 2.2 1.6 3.7
2011 0.6 -1 0.3 1.1 -1.3 1.3 0.9 -1.1 -3.4 0 -0.3 0.4 -2.7
2012 0.3 0.8 1.8 0.4 -1.1 1.7 0.2 0 0.1 0.2 -0.8 -0.4 3.2
2013 -0.6 -0.5 -0.2 -0.6 0 -0.4 -0.9 -0.2 -0.2 -0.6 0.4 -0.5 -4.1
2014 1.1 0.8 -0.5 -0.5 -1 -0.5 -0.7 0.2 0.3 -0.2 1.2 -0.8 -0.6
2015 -0.3 0.5 1.2 -1.2 0.8 -0.3 -0.6 -1.1 -0.4 0.7 1.4 0.1 0.8
2016 0.5 -0.3 -0.5 1 0.7 -0.4 -0.2 0 -0.8 -0.9 -1.1 0.1 -2
2017 1 1.3 0.4 1.4 -0.1 2.5 -1.4 -0.2 0.7 0 -0.1 0.2 5.7
2018 0.9 1.5 0.6 1.2 -0.4 1.5 -0.5 1.2 0.8 1.2 0 -0.2 8.2
2019 0.1 0.1 0.9 0.1 -0.8 -0.1 -1.2 -0.1 0.1 0.8 0.4 0.2 0.4
2020 -0.6 -0.7 -3.1 0.3 0.1 1.3 1.6 0.5 -0.6 0.1 -1.1 1 -1.4
2021 0.4 -0.6 -0.1 NA NA NA NA NA NA NA NA NA -0.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-05  25.0 SPY    141. -0.008  -0.0138   -0.0053   0.0417   0.104     0.250    0.203 GLD    60.2 -0.024   -0.0329
2 2007-01-08  25.0 SPY    141.  0.0046 -0.0072   -0.005    0.0445   0.108     0.254    0.200 GLD    60.5  0.0052  -0.0385
3 2007-01-09  24.7 SPY    141. -0.0008 -0.0039   -0.005    0.0449   0.0983    0.249    0.208 GLD    60.8  0.0061  -0.0373
4 2007-01-10  24.7 SPY    142.  0.0033  0.00120   0.0027   0.0477   0.0992    0.248    0.215 GLD    60.6 -0.0043  -0.0271
5 2007-01-11  25.1 SPY    142.  0.0044  0.0035    0.0052   0.0509   0.103     0.265    0.230 GLD    60.6  0.0007  -0.0165
6 2007-01-12  27.1 SPY    143.  0.0076  0.0192    0.0099   0.0602   0.108     0.265    0.234 GLD    62.2  0.0254   0.0332
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart